26 citations · 45 across the 6 of their papers we have counts for
7 papers
Perpetual American Standard and Lookback Options in Insider Models with Progressively Enlarged Filtrations
Pavel V. Gapeev, Libo Li
We derive closed-form solutions to the optimal stopping problems related to the pricing of perpetual American standard and lookback put and call options in the extensions of the Bl…
On Watanabe's characterisation and change of intensity à la Girsanov for Cox processes
Dirk Becherer, Thomas Bernhardt, Pavel Gapeev
We discuss the equivalence of definitions for conditional Poisson processes, Cox processes, and stochastic intensities of point processes on the real line. We show that Watanabe's…
Perpetual American options in diffusion-type models with running maxima and drawdowns
Pavel V. Gapeev, Neofytos Rodosthenous
We study perpetual American option pricing problems in an extension of the Black-Merton-Scholes model in which the dividend and volatility rates of the underlying risky asset depen…
Optimal stopping problems in diffusion-type models with running maxima and drawdowns
Pavel V. Gapeev, Neofytos Rodosthenous
We study optimal stopping problems related to the pricing of perpetual American options in an extension of the Black-Merton-Scholes model in which the dividend and volatility rates…
Two switching multiple disorder problems for Brownian motions
Pavel V. Gapeev
The multiple disorder problem seeks to determine a sequence of stopping times which are as close as possible to the unknown times of disorders at which the observation process chan…
Bayesian quickest detection problems for some diffusion processes
Pavel V. Gapeev, Albert N. Shiryaev
We study the Bayesian problems of detecting a change in the drift rate of an observable diffusion process with linear and exponential penalty costs for a detection delay. The optim…
The disorder problem for compound Poisson processes with exponential jumps
Pavel V. Gapeev
The problem of disorder seeks to determine a stopping time which is as close as possible to the unknown time of ``disorder'' when the observed process changes its probability chara…